Risk-parameter estimation in volatility models
Christian Francq; Jean-Michel Zakoïan
| Year of publication: |
2015
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 1, p. 158-173
|
| Subject: | GARCH | Quantile regression | Quasi-maximum likelihood | Risk measures | Value-at-Risk | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price | Messung | Measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326796